We're on the letter N and so our activities included reading the Nutcracker, making a paper N with a bird and nest, eating graham crackers with Nutella, playing several Number games (Gingerbread dice game and what I call Santa Bingo), making a Nativity suncatcher, and finally reading a book on the Nativity. Plus I was nice and let them play. :)
Playing Santa Bingo. It was fun! Especially once you got bingo and got to eat the marshmallows. :) Idea found here.
It takes time and work to get everything together, but it's definitely worth. I'm lucky I get to do this with Lucy!